Trend-Following Backtester · Guide · backtest 한국어
equity · KR
에스원 backtest
10 trend-following strategies were compared on the full daily history of 에스원. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 5.1%, drawdown -58.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 2.0%, MDD -68.4%, Sharpe 0.22, 84% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=132, threshold=-0.12 |
2.0% | -68.4% | 0.22 | 0.03 | 1.7x | 163 | 84% |
| SMA 크로스오버 fast=40, slow=208 |
1.6% | -71.2% | 0.19 | 0.02 | 1.5x | 54 | 56% |
| EMA 크로스오버 fast=56, slow=172 |
-0.7% | -82.0% | 0.10 | -0.01 | 0.8x | 50 | 58% |
| ADX / DI 방향성 period=35, threshold=20 |
-0.2% | -32.4% | 0.04 | -0.01 | 0.9x | 41 | 10% |
| Donchian 채널 돌파 entryN=76, exitN=73 |
-2.4% | -87.9% | 0.02 | -0.03 | 0.5x | 52 | 53% |
| Supertrend period=17, mult=4.8 |
-6.6% | -91.2% | -0.12 | -0.07 | 0.2x | 75 | 61% |
| 볼린저 밴드 돌파 n=70, k=2.9 |
-2.8% | -62.3% | -0.12 | -0.05 | 0.5x | 47 | 16% |
| Keltner 채널 돌파 emaPeriod=62, atrPeriod=26, mult=2.9 |
-5.2% | -81.0% | -0.24 | -0.06 | 0.2x | 81 | 22% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-10.4% | -95.6% | -0.32 | -0.11 | 0.1x | 223 | 52% |
| MACD fast=14, slow=54, signal=18 |
-13.2% | -98.1% | -0.48 | -0.13 | 0.0x | 361 | 50% |
| Buy and hold | 5.1% | -58.8% | 0.32 | 0.09 | 3.8x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 132-day return is greater than -12%
- Sell — Sell when the 132-day return drops to -12% or below